Nonparametric estimation of actuarial present value of deferred life annuity

Nonparametric estimation of actuarial present value of deferred life annuity

The paper deals with the estimation problem of the actuarial present value of the deferred life annuity. The nonpara-metric estimator of the deferred life annuity was constructed. We found the principal term of the asymptotic mean squared error (MSE) of the proposed estimator and proved its asymptot...

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Bibliographic Details
Published in:Вестник Томского государственного университета. Управление, вычислительная техника и информатика № 46. С. 49-55
Main Author: Gubina, Oxana V.
Other Authors: Koshkin, Gennady M.
Format: Article
Language:English
Subjects:
непараметрическое оценивание
отсроченная пожизненная рента
среднеквадратическая ошибка
асимптотическая нормальность
статьи в журналах
Online Access:http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000651573
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Summary:The paper deals with the estimation problem of the actuarial present value of the deferred life annuity. The nonpara-metric estimator of the deferred life annuity was constructed. We found the principal term of the asymptotic mean squared error (MSE) of the proposed estimator and proved its asymptotic normality. The simulations show that the empirical MSE of the annuity estimator decreases when the sample size increases.
Bibliography:Библиогр.: 33 назв.
ISSN:1998-8605

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